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Improved multiobjective bat algorithm for the credibilistic multiperiod mean-VaR portfolio optimization problem

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Abstract

This paper deals with a multiperiod multiobjective fuzzy portfolio selectiossn problem based on credibility theory. A credibilistic multiobjective mean-VaR model is formulated for the multiperiod portfolio selection problem, whereby the return is quantified by the credibilistic mean and the risk is measured by the credibilistic VaR. We also consider liquidity, cardinality, and upper and lower bound constraints to obtain a more realistic model. Furthermore, to solve the proposed model efficiently, an improved multiobjective bat algorithm termed IMBA is designed, in which three new strategies, i.e., the global best solution selection strategy, candidate solution generation strategy, and competitive learning strategy, are proposed to increase the convergence speed and improve the solution quality. Finally, comparative experiments are presented to show the applicability and superiority of the proposed approaches from two aspects. First, the designed IMBA is compared with seven typical algorithms, i.e., multiobjective particle swarm optimization, multiobjective artificial bee colony, multiobjective firefly algorithm, multiobjective differential evolution, multiobjective bat, the non-dominated sorting genetic algorithm (NSGA-II) and strength pareto evolutionary algorithm 2 (SPEA2), on a number of benchmark test problems. Second, the applicability of the proposed model to practical applications of portfolio selection is given under different circumstances.

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Acknowledgements

This research was supported by the Postgraduate Academic Newcomer Program of Capital University of Economics and Business of China (No. 2021XSXR05). The corresponding author, Wei Chen, acknowledges the support through the National Natural Science Foundation of China (No. 72071134), the Project of High-level Teachers in Beijing Municipal Universities in the Period of 13th Five-year Plan (CIT&TCD20190338), the Humanity and Social Science Foundation of Ministry of Education of China (No. 19YJAZH005).

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  1. School of Management Engineering, Capital University of Economics and Business, Beijing, China

    Manrui Jiang, Wen Xu & Wei Chen

  2. School of Finance, Capital University of Economics and Business, Beijing, China

    Weiyi Liu

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  1. Manrui Jiang
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Correspondence to Wei Chen.

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Jiang, M., Liu, W., Xu, W. et al. Improved multiobjective bat algorithm for the credibilistic multiperiod mean-VaR portfolio optimization problem. Soft Comput 25, 6445–6467 (2021). https://doi.org/10.1007/s00500-021-05638-z

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